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Research on Small-Cap Value Rotation Investment Strategy Based on "Size Effect" - Evidence from the Chinese Stock Market

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  • Ziang Zhou

Abstract

This paper investigates the small-cap value rotation investment strategy. This paper analyzes the rationality and applicability of small-market rotation strategy from two aspects: theoretical analysis and practical test. This paper first sorts out and expounds the theoretical basis of small-cap rotation investment strategy. Subsequently, the details of the strategy are introduced in additional with some notice that the investor should pay attention to. Besides, its returns and applicability are examined, which is based on the real data from Chinese stock market. The results indicate that the small-cap value rotation investment strategy remains viable in today's Chinese stock market, but its applicability exhibits certain cyclical variations. Therefore, when adopting such an investment strategy, careful consideration of its specific applicability is necessary. Â JEL classification numbers: G11, G14, G24.

Suggested Citation

  • Ziang Zhou, 2023. "Research on Small-Cap Value Rotation Investment Strategy Based on "Size Effect" - Evidence from the Chinese Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(6), pages 1-5.
    • Handle: RePEc:spt:apfiba:v:13:y:2023:i:6:f:13_6_5
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    References listed on IDEAS

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    More about this item

    Keywords

    Size Effect; Small-Cap; Investment Strategy.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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